کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7356379 | 1478235 | 2018 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange
ترجمه فارسی عنوان
فرکانس حراج تماس و کیفیت بازار: شواهد از بورس اوراق بهادار تایوان
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کلمات کلیدی
حراج تماس فاصله حراج تماس، فاصله حراج تماس بهینه، کیفیت بازار،
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Financial market quality is generally assessed with respect to efficiency, liquidity, and stability. The frequency of trading contributes to these attributes. The Taiwan Stock Exchange uses a periodic call auction as its main trading mechanism. From 2010 to 2014 the call auction interval was reduced four times, from 25 to 5â¯s, providing a natural experiment to test the impact on market quality. Using multiple measures of efficiency, liquidity, and stability we provide evidence that the reductions in call auction interval have improved overall market quality. We find that higher auction frequencies are associated with a lower trade-to-auction ratio and less aggressive trading behaviour. The evidence suggests that there are more gains to be made through further reduction in the call auction interval to around 2â¯s.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Asian Economics - Volume 57, August 2018, Pages 53-62
Journal: Journal of Asian Economics - Volume 57, August 2018, Pages 53-62
نویسندگان
Mia Twu, Jianxin Wang,